Econometrica: Apr 1977, Volume 45, Issue 3
The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
https://doi.org/0012-9682(197704)45:3<745:TROSST>2.0.CO;2-#
p.
745-754
Mary Lee Epps, Thomas W. Epps
This paper considers (i) the robustness of the @t and Durbin-Watson bounds tests for first-order autocorrelation when disturbances in the linear regression model are heteroskedastic and (ii) the robustness of the Goldfeld-Quandt and Glejser tests for heteroskedasticity when the disturbances follow a first-order autoregressive scheme.Log In To View Full Content